I am running 10g on Windows XP to assess functionality, and I also experienced the same thing trying to set up an EXECUTABLE JOB through the EM Control. Same Syntax in the SQL call for DBMS_SCHEUDLER.CREATE_JOB.
The job (a simple .exe batch file to connect through SQLPlus and create an object in the database) fails every time. It can be run from the command line with no problems.
Where did you set batch=yes?
Did you ever get the executable script to run completely as a job?